The term structure of the risk-return tradeo ff

@inproceedings{Campbell2004TheTS,
  title={The term structure of the risk-return tradeo ff},
  author={John Y. Campbell and Luis M. Viceira},
  year={2004}
}
Recent research in empirical finance has documented that expected excess returns on bonds and stocks, real interest rates, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist over long periods of time. This paper has two objectives. First, we propose an empirical model that is able to capture the complex dynamics of expected returns and risk, yet is simple to apply in practice. Second, we explore the implications for asset allocation. Changes in investment… CONTINUE READING
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